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Hurst exponents, Markov processes, and fractional Brownian motion
McCauley, Joseph L.; Gunaratne, Gemunu H.; Bassler, Kevin E. - In: Physica A: Statistical Mechanics and its Applications 379 (2007) 1, pp. 1-9
-infinite time interval is identical to that for a scaling Gaussian Markov process with H≠12 over a finite time interval. We conclude …
Persistent link: https://www.econbiz.de/10011062663
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Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets
Bassler, Kevin E.; McCauley, Joseph L.; Gunaratne, Gemunu H. - Volkswirtschaftliche Fakultät, … - 2006
scaling regions, we find that sliding interval methods can generate fat-tailed distributions as an artifact, and that the type … of scaling reported in many previous studies does not exist. …
Persistent link: https://www.econbiz.de/10005617008
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Martingales, nonstationary increments, and the efficient market hypothesis
McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3916-3920
We discuss the deep connection between nonstationary increments, martingales, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). We explain why a test for a martingale is generally a test for uncorrelated increments. We explain why...
Persistent link: https://www.econbiz.de/10010588900
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Hurst exponents, Markov processes, and nonlinear diffusion equations
Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - Volkswirtschaftliche Fakultät, … - 2005
correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of Fokker-Planck partial …. For the scaling solutions, we show how to reduce the calculation of the probability density to a single integration once … usual simple argument that H≠1/2 implies correlations fails for Markov processes with scaling solutions. Finally, we discuss …
Persistent link: https://www.econbiz.de/10005837307
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Markov processes, Hurst exponents, and nonlinear diffusion equations: With application to finance
Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: Physica A: Statistical Mechanics and its Applications 369 (2006) 2, pp. 343-353
correlations like those found in fractional Brownian motion (fBm). We construct a large set of scaling solutions of Fokker … increments. For the scaling solutions, we show how to reduce the calculation of the probability density to a single integration … implies correlations fails for Markov processes with scaling solutions. Finally, we discuss the question of scaling of the …
Persistent link: https://www.econbiz.de/10011058407
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Asymmetry of Information Flow Between Volatilities Across Time Scales
Gençay, Ramazan; Whitcher, Brandon; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
, resulting in a distribution that is non-Gaussian. This result has important implications regarding the scaling behavior of …
Persistent link: https://www.econbiz.de/10005859005
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Extreme value theory and Value-at-Risk : Relative performance in emerging markets
Gençay, Ramazan; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine di.erent emerging markets. In addition to well-known modeling approaches such as variance-covariance method and historical simulation, we study the extreme value...
Persistent link: https://www.econbiz.de/10005859080
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Scaling, Self-Similarity and Multifractality in FX Markets
Gençay, Ramazan; Xu, Zhaoxia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper presents an empirical investigation of scaling and multifractal properties of U.S. Dollar-Deutschemark (USD …-DEM returns exhibit power-law scaling in the tails. To test the multifractal properties of USD-DEM returns, the mean moment of the ….erent slopes for these powers of absolute returns. The nonlinearity of the scaling exponent indicates that the returns are …
Persistent link: https://www.econbiz.de/10005859081
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Wealth and Faith, What Is Your Real Reason? Is It Jesus?
Curtis Jr, James E - 2011
For those who monitor relative wealth accumulation and are unmoved by divine empathy, a disincentive to increase the rate of full manumission is possible. Consider slavery as overt, formal constraints to zero or even negative wealth accumulation; and consider freedom of ex-slaves as the...
Persistent link: https://www.econbiz.de/10013128037
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Price Index Insurances in the Agriculture Markets
Assa, Hirbod - 2020
In this paper, we introduce price index insurances on agricultural goods. Seemingly similar to derivatives, there are significant differences between price index insurances and derivatives. First, unlike derivatives, there are no entrance barriers for purchasing insurances, making them the risk...
Persistent link: https://www.econbiz.de/10012837633